First, go to arduino.cc then click on Download. I selected the windows installer for version 1.5.8 of the IDE, then clicked on the file that was downloaded.
Click "Continue Anyway"
Leave the Arduino unplugged.
Under Tools->Port you will see the existing serial ports your computer has.
Plug the Arduino board. Windows will find it, install the driver and assign it a serial port.
This is a one time setup. To operate the enigma machine, continue to the next post, Operating the Arduino Enigma Machine via Serial Port